MSCI Risk Monitor: RiskMetrics® Global - July 2015
Jul 17, 2015
Volatility and Correlation for Key Global Risk Drivers
Under a standard RiskMetrics forecasting model, this monthly Risk Monitor reports on the evolution of risk forecasts for 12 key global risk factors. The report examines changes in volatility and correlation behavior, and identifies days on which factor returns were a surprise relative to the risk forecasts.